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首页> 外文会议>2015 International Conference on Research and Education in Mathematics >Portfolio selection in Indonesia stock market with fuzzy bi-objective linear programming
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Portfolio selection in Indonesia stock market with fuzzy bi-objective linear programming

机译：模糊双目标线性规划的印度尼西亚股票市场投资组合选择

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摘要

Selecting a portfolio which has the lowest investment risk and also the highest investment return known as a portfolio selection problem. An alternative way finding optimum solution of this bi-objective programming problem is transforming theproblem into a single objective programming problem using fuzzy decision-making theory. The investment risk is expressed by mean absolute deviation of the return assets, while the investment return is expressed by the average of return assets. This fuzzy bi-objective linear programming (FBLP) is applied to construct an optimum portfolio in Indonesian stock market. The numerical result of FBLP is the same compared with weighted sum approach, but FBLP integrates better the knowledge and subjective opinion of investor where the range rate of risk which can be accepted by investor is incorporated in the model.
机译：选择具有最低投资风险和最高投资回报的投资组合，称为投资组合选择问题。寻找此双目标规划问题的最佳解决方案的另一种方法是使用模糊决策理论将问题转换为单目标规划问题。投资风险用收益资产的平均绝对偏差表示，而投资收益用收益资产的平均值表示。该模糊双目标线性规划（FBLP）用于构建印度尼西亚股票市场的最优投资组合。 FBLP的数值结果与加权和方法相比是相同的，但是FBLP更好地集成了投资者的知识和主观意见，其中模型中包含了投资者可以接受的风险范围率。

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